Tail Risk Spikes


Please see below the latest ‘Chart of the Week’ from State Street Global Markets.

This week Tim Graf, head of Global Macro Strategy for EMEA, highlights the rising probability of another volatile fourth quarter for risky assets. He comments, “In the wake of last week’s large downside miss in US manufacturing and service sentiment, our price-based measures of market risk are once again flagging caution. To construct a Global Tail Risk Score, we combine our Systemic Risk Index, a measure of market fragility, with a Turbulence Index for global equities, capturing unusualness of volatility and correlation. Higher readings of the combined signal indicate an increase in probability of future drawdowns in risky assets. The spike over the last two months would indicate the relative stability of global equities over the last two quarters is under threat.”

The Chance of a Tail Risk Event Spikes

Source: State Street Global Markets, Bloomberg


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